28 citations · 58 across the 11 of their papers we have counts for
3 papers · 1 filter
The rough Hawkes Heston stochastic volatility model
Alessandro Bondi, Sergio Pulido, Simone Scotti
We study an extension of the Heston stochastic volatility model that incorporates rough volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston stocha…
Existence of optimal controls for stochastic Volterra equations
Andrés Cárdenas, Sergio Pulido, Rafael Serrano
We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the weak formulation of stochastic control problems for stochastic Volterra equations (…
Affine Volterra processes with jumps
Alessandro Bondi, Giulia Livieri, Sergio Pulido
The theory of affine processes has been recently extended to the framework of stochastic Volterra equations with continuous trajectories. These so-called affine Volterra processes…